Background: National dietary guidelines contribute to primary prevention of a wide range of diseases. Yet, the importance of adhering to the Danish dietary guidelines for colorectal cancer prevention is unclear. Methods: We used the Danish Diet, Cancer and Health cohort (n = 55,744) to investigate adherence to the Danish dietary guidelines and the risk of colorectal cancer. Cox proportional hazard models were used to estimate hazard ratios (HRs) for colorectal cancer and subtypes across the Danish Dietary Guidelines Index score (ranging 0–6 points, 6 being the greatest adherence). Effect modification by BMI was explored on multiplicative and additive scales. Results: During a median follow-up of 18.9 years, 1030 men and 849 women developed colorectal cancer. Higher index scores were associated with a lower risk of colorectal cancer (HR 0.66; 95% confidence interval (CI) 0.53, 0.84, highest (≥5) versus lowest index score (<3 points) group). Similar inverse associations were observed between index scores and colon cancer. The risk difference was −0.8% (95% CI: −1.6, −0.1) among the overweight/obese group and 0.1% (95% CI: −0.7, 1.0) in the normal weight group for high compared to low adherence. Conclusion: Adherence to the Danish Dietary Guidelines was associated with a lower risk of colorectal cancer, particularly among people with overweight/obesity.